@article{baker_bloom_davis_2016,
    author = {Baker, Scott R. and Bloom, Nicholas and Davis, Steven J.},
    title = "{Measuring Economic Policy Uncertainty}",
    journal = {The Quarterly Journal of Economics},
    volume = {131},
    number = {4},
    pages = {1593-1636},
    year = {2016},
    month = {07},
    abstract = "{We develop a new index of economic policy uncertainty (EPU) based on newspaper
                    coverage frequency. Several types of evidence?including human readings of 12,000
                    newspaper articles?indicate that our index proxies for movements in
                    policy-related economic uncertainty. Our U.S. index spikes near tight
                    presidential elections, Gulf Wars I and II, the 9/11 attacks, the failure of
                    Lehman Brothers, the 2011 debt ceiling dispute, and other major battles over
                    fiscal policy. Using firm-level data, we find that policy uncertainty is
                    associated with greater stock price volatility and reduced investment and
                    employment in policy-sensitive sectors like defense, health care, finance, and
                    infrastructure construction. At the macro level, innovations in policy
                    uncertainty foreshadow declines in investment, output, and employment in the
                    United States and, in a panel vector autoregressive setting, for 12 major
                    economies. Extending our U.S. index back to 1900, EPU rose dramatically in the
                    1930s (from late 1931) and has drifted upward since the 1960s.}",
    issn = {0033-5533},
    doi = {10.1093/qje/qjw024},
    url = {https://doi.org/10.1093/qje/qjw024},
    eprint = {https://academic.oup.com/qje/article-pdf/131/4/1593/30636768/qjw024.pdf},
}

@techreport{baker_bloom_davis_kost_2019,
 title = "Policy News and Stock Market Volatility",
 author = "Baker, Scott R. and Bloom, Nicholas and Davis, Steven J. and Kost, Kyle J.",
 institution = "National Bureau of Economic Research",
 type = "Working Paper",
 series = "Working Paper Series",
 number = "25720",
 year = "2019",
 month = "March",
 doi = {10.3386/w25720},
 URL = "http://www.nber.org/papers/w25720",
 abstract = {We create a newspaper-based Equity Market Volatility (EMV) tracker that moves with the VIX and with the realized volatility of returns on the S&P 500. Parsing the underlying text, we find that 72 percent of EMV articles discuss the Macroeconomic Outlook, and 44 percent discuss Commodity Markets. Policy news is another major source of volatility: 35 percent of EMV articles refer to Fiscal Policy (mostly Tax Policy), 30 percent discuss Monetary Policy, 25 percent refer to one or more forms of Regulation, and 13 percent mention National Security matters. The contribution of particular policy areas fluctuates greatly over time. Trade Policy news, for example, went from a virtual nonfactor in equity market volatility to a leading source after Donald Trump’s election and especially after the intensification of U.S-China trade tensions. The share of EMV articles with attention to government policy rises over time, reaching its peak in 2017-18. We validate our measurement approach in various ways. For example, tailoring our EMV tracker to news about petroleum markets yields a measure that rises and falls with the implied and realized volatility of oil prices.},
}

@article{baker_wurgler_2007,
Author = {Baker, Malcolm and Wurgler, Jeffrey},
Title = {Investor Sentiment in the Stock Market},
Journal = {Journal of Economic Perspectives},
Volume = {21},
Number = {2},
Year = {2007},
Month = {June},
Pages = {129-152},
DOI = {10.1257/jep.21.2.129},
URL = {http://www.aeaweb.org/articles?id=10.1257/jep.21.2.129}}

@article{broner_didier_erce_schmuckler_2013,
title = "Gross capital flows: Dynamics and crises",
journal = "Journal of Monetary Economics",
volume = "60",
number = "1",
pages = "113 - 133",
year = "2013",
note = "Carnegie-NYU-Rochester Conference",
issn = "0304-3932",
doi = "https://doi.org/10.1016/j.jmoneco.2012.12.004",
url = "http://www.sciencedirect.com/science/article/pii/S0304393212001675",
author = "Fernando Broner and Tatiana Didier and Aitor Erce and Sergio L. Schmukler",
keywords = "Gross capital flows, Net capital flows, Domestic investors, Foreign investors, Crises",
abstract = "This paper analyzes the behavior of international capital flows by foreign and domestic agents, dubbed gross capital flows, over the business cycle and during financial crises. We show that gross capital flows are very large and volatile, especially relative to net capital flows. When foreigners invest in a country, domestic agents invest abroad, and vice versa. Gross capital flows are also pro-cyclical. During expansions, foreigners invest more domestically and domestic agents invest more abroad. During crises, total gross flows collapse and there is a retrenchment in both inflows by foreigners and outflows by domestic agents. These patterns hold for different types of capital flows and crises. This evidence sheds light on the sources of fluctuations driving capital flows and helps discriminate among existing theories. Our findings seem consistent with crises affecting domestic and foreign agents asymmetrically, as would be the case under the presence of sovereign risk or asymmetric information."
}

@article{bruno_shin_2014,
    author = {Bruno, Valentina and Shin, Hyun Song},
    title = "{Cross-Border Banking and Global Liquidity}",
    journal = {The Review of Economic Studies},
    volume = {82},
    number = {2},
    pages = {535-564},
    year = {2014},
    month = {12},
    abstract = "{We investigate global factors associated with bank capital flows. We formulate a model of the international banking system where global banks interact with local banks. The solution highlights the bank leverage cycle as the determinant of the transmission of financial conditions across borders through banking sector capital flows. A distinctive prediction of the model is that local currency appreciation is associated with higher leverage of the banking sector, thereby providing a conceptual bridge between exchange rates and financial stability. In a panel study of 46 countries, we find support for the key predictions of our model.}",
    issn = {0034-6527},
    doi = {10.1093/restud/rdu042},
    url = {https://doi.org/10.1093/restud/rdu042},
    eprint = {https://academic.oup.com/restud/article-pdf/82/2/535/18394020/rdu042.pdf},
}

@article{calomiris_mamaysky_2019,
title = "How news and its context drive risk and returns around the world",
journal = "Journal of Financial Economics",
volume = "133",
number = "2",
pages = "299 - 336",
year = "2019",
issn = "0304-405X",
doi = "https://doi.org/10.1016/j.jfineco.2018.11.009",
url = "http://www.sciencedirect.com/science/article/pii/S0304405X18303180",
author = "Charles W. Calomiris and Harry Mamaysky",
keywords = "Empirical asset pricing, International markets, Financial news media, Natural language processing",
abstract = "We develop a classification methodology for the context and content of news articles to predict risk and return in stock markets in 51 developed and emerging economies. A parsimonious summary of news, including topic-specific sentiment, frequency, and unusualness (entropy) of word flow, predicts future country-level returns, volatilities, and drawdowns. Economic and statistical significance are high and larger for year ahead than monthly predictions. The effect of news measures on market outcomes differs by country type and over time. News stories about emerging markets contain more incremental information. Out-of-sample testing confirms the economic value of our approach for forecasting country-level market outcomes."
}

@article{campbell_grossman_wang_1993,
    author = {Campbell, John Y. and Grossman, Sanford J. and Wang, Jiang},
    title = "{Trading Volume and Serial Correlation in Stock Returns}",
    journal = {The Quarterly Journal of Economics},
    volume = {108},
    number = {4},
    pages = {905-939},
    year = {1993},
    month = {11},
    abstract = "{This paper investigates the relationship between aggregate stock market trading volume and the serial correlation of daily stock returns. For both stock indexes and individual large stocks, the first-order daily return autocorrelation tends to decline with volume. The paper explains this phenomenon using a model in which risk-averse “market makers” accommodate buying or selling pressure from “liquidity” or “noninformational” traders. Changing expected stock returns reward market makers for playing this role. The model implies that a stock price decline on a high-volume day is more likely than a stock price decline on a low-volume day to be associated with an increase in the expected stock return.}",
    issn = {0033-5533},
    doi = {10.2307/2118454},
    url = {https://doi.org/10.2307/2118454},
    eprint = {https://academic.oup.com/qje/article-pdf/108/4/905/5365099/108-4-905.pdf},
}

@article{colacito_croce_gavazzoni_ready_2018,
author = {Colacito, Ric and Croce, Mariano M. and Gavazzoni, Federico and Ready, Robert},
title = {Currency Risk Factors in a Recursive Multicountry Economy},
journal = {The Journal of Finance},
volume = {73},
number = {6},
pages = {2719-2756},
doi = {10.1111/jofi.12720},
url = {https://onlinelibrary.wiley.com/doi/abs/10.1111/jofi.12720},
eprint = {https://onlinelibrary.wiley.com/doi/pdf/10.1111/jofi.12720},
abstract = {ABSTRACT Focusing on the 10 most traded currencies, we provide empirical evidence regarding a significant heterogeneous exposure to global growth news shocks. We incorporate this empirical fact in a frictionless risk-sharing model with recursive preferences, multiple countries, and multiple consumption goods whose supply features both global and local short- and long-run shocks. Since news shocks are priced, heterogeneous exposure to long-lasting global growth shocks results in a relevant reallocation of international resources and currency adjustments. Our unified framework replicates the properties of the HML-FX and HML-NFA carry-trade strategies studied by Lustig, Roussanov, and Verdelhan and Della Corte, Riddiough, and Sarno.},
year = {2018}
}

@TechReport{Croce_Farroni,
  author={Croce, Mariano Massimiliano and Farroni, Paolo and Wolfskeil, Isabella},
  title={{When the Markets Get COVID: COntagion, Viruses, and Information Diffusion}},
  year=2020,
  month=Apr,
  institution={C.E.P.R. Discussion Papers},
  type={CEPR Discussion Papers},
  url={https://ideas.repec.org/p/cpr/ceprdp/14674.html},
  number={14674},
  abstract={We quantify the exposure of major financial markets to news shocks about global contagion risk accounting for local epidemic conditions. For a wide cross section of countries, we construct a novel data set comprising (i) announcements related to COVID19, and (ii) high-frequency data on epidemic news diffused through Twitter. Across several classes of financial assets, we provide novel empirical evidence about {financial dynamics (i) around epidemic announcements, (ii) at a daily frequency, and (iii) at an intra-daily frequency.} Formal estimations based on both contagion data and social media activity about COVID19 confirm that the market price of contagion risk is very significant. We conclude that prudential policies aimed at mitigating either global contagion or local diffusion may be extremely valuable.},
  keywords={asset prices; contagion; Epidemic},
  doi={},
}

@article{da_engelberg_gao_2014,
    author = {Da, Zhi and Engelberg, Joseph and Gao, Pengjie},
    title = "{The Sum of All FEARS Investor Sentiment and Asset Prices}",
    journal = {The Review of Financial Studies},
    volume = {28},
    number = {1},
    pages = {1-32},
    year = {2014},
    month = {10},
    abstract = "{We use daily Internet search volume from millions of households to reveal market-level sentiment. By aggregating the volume of queries related to household concerns (e.g., “recession,” “unemployment,” and “bankruptcy”), we construct a Financial and Economic Attitudes Revealed by Search (FEARS) index as a new measure of investor sentiment. Between 2004 and 2011, we find FEARS (i) predict short-term return reversals, (ii) predict temporary increases in volatility, and (iii) predict mutual fund flows out of equity funds and into bond funds. Taken together, the results are broadly consistent with theories of investor sentiment.}",
    issn = {0893-9454},
    doi = {10.1093/rfs/hhu072},
    url = {https://doi.org/10.1093/rfs/hhu072},
    eprint = {https://academic.oup.com/rfs/article-pdf/28/1/1/24450249/hhu072.pdf},
}

@article{deLong_shleifer_summers_waldmann_1990,
 ISSN = {00223808, 1537534X},
 URL = {http://www.jstor.org/stable/2937765},
 abstract = {We present a simple overlapping generations model of an asset market in which irrational noise traders with erroneous stochastic beliefs both affect prices and earn higher expected returns. The unpredictability of noise traders' beliefs creates a risk in the price of the asset that deters rational arbitrageurs from aggressively betting against them. As a result, prices can diverge significantly from fundamental values even in the absence of fundamental risk. Moreover, bearing a disproportionate amount of risk that they themselves create enables noise traders to earn a higher expected return than rational investors do. The model sheds light on a number of financial anomalies, including the excess volatility of asset prices, the mean reversion of stock returns, the underpricing of closed-end mutual funds, and the Mehra-Prescott equity premium puzzle.},
 author = {J. Bradford De Long and Andrei Shleifer and Lawrence H. Summers and Robert J. Waldmann},
 journal = {Journal of Political Economy},
 number = {4},
 pages = {703--738},
 publisher = {University of Chicago Press},
 title = {Noise Trader Risk in Financial Markets},
 volume = {98},
 year = {1990}
}

@article{cerutti_claessens_puy_2019,
title = "Push factors and capital flows to emerging markets: why knowing your lender matters more than fundamentals",
journal = "Journal of International Economics",
volume = "119",
pages = "133 - 149",
year = "2019",
issn = "0022-1996",
doi = "https://doi.org/10.1016/j.jinteco.2019.04.006",
url = "http://www.sciencedirect.com/science/article/pii/S002219961930039X",
author = "Eugenio Cerutti and Stijn Claessens and Damien Puy",
keywords = "Push factors, Capital flows, Emerging markets, Mutual funds, Global banks, Global financial cycle",
abstract = "Countries' gross capital inflows are not equally affected by changes in global conditions. Analyzing 21 advanced countries (ACs) and 33 emerging markets (EMs) between 2001 and 2015, we confirm that co-movements in capital inflows are concentrated in bank, portfolio bond, and portfolio equity flows to EMs. However, changes in global factors do not affect all EMs equally, even for the same type of flow. Investigating the characteristics of these sensitivities, we find that EMs relying more on global mutual funds are more sensitive in their gross equity and bond inflows. Recipient market liquidity and inclusion in global market indices also increase sensitivities, but we find little robust evidence that institutional and macroeconomic fundamentals dampen sensitivities."
}

@article{fratzscher_2012,
title = "Capital flows, push versus pull factors and the global financial crisis",
journal = "Journal of International Economics",
volume = "88",
number = "2",
pages = "341 - 356",
year = "2012",
note = "NBER Global",
issn = "0022-1996",
doi = "https://doi.org/10.1016/j.jinteco.2012.05.003",
url = "http://www.sciencedirect.com/science/article/pii/S0022199612000931",
author = "Marcel Fratzscher",
keywords = "Capital flows, Risk, Push factors, Pull factors, Emerging markets, Advanced economies",
abstract = "The causes of the 2008 collapse and subsequent surge in global capital flows remain an open and highly controversial issue. Employing a factor model coupled with a dataset of high-frequency portfolio capital flows to 50 economies, the paper finds that common shocks – key crisis events as well as changes to global liquidity and risk – have exerted a large effect on capital flows both in the crisis and in the recovery. However, these effects have been highly heterogeneous across countries, with a large part of this heterogeneity being explained by differences in the quality of domestic institutions, country risk and the strength of domestic macroeconomic fundamentals. Comparing and quantifying these effects show that common factors (“push” factors) were overall the main drivers of capital flows during the crisis, while country-specific determinants (“pull” factors) have been dominant in accounting for the dynamics of global capital flows in 2009 and 2010, in particular for emerging markets."
}

@article{gabaix_2016,
Author = {Gabaix, Xavier},
Title = {Power Laws in Economics: An Introduction},
Journal = {Journal of Economic Perspectives},
Volume = {30},
Number = {1},
Year = {2016},
Month = {February},
Pages = {185-206},
DOI = {10.1257/jep.30.1.185},
URL = {http://www.aeaweb.org/articles?id=10.1257/jep.30.1.185}}

@article{garcia_2013,
author = {Garcia, Diego},
title = {Sentiment during Recessions},
journal = {The Journal of Finance},
volume = {68},
number = {3},
pages = {1267-1300},
doi = {10.1111/jofi.12027},
url = {https://onlinelibrary.wiley.com/doi/abs/10.1111/jofi.12027},
eprint = {https://onlinelibrary.wiley.com/doi/pdf/10.1111/jofi.12027},
abstract = {ABSTRACT This paper studies the effect of sentiment on asset prices during the 20th century (1905 to 2005). As a proxy for sentiment, we use the fraction of positive and negative words in two columns of financial news from the New York Times. The main contribution of the paper is to show that, controlling for other well-known time-series patterns, the predictability of stock returns using news' content is concentrated in recessions. A one standard deviation shock to our news measure during recessions predicts a change in the conditional average return on the DJIA of 12 basis points over one day.},
year = {2013}
}

@TechReport{gentzkow_kelly_taddy_2017,
  author={Matthew Gentzkow and Bryan T. Kelly and Matt Taddy},
  title={{Text as Data}},
  year=2017,
  month=Mar,
  institution={National Bureau of Economic Research},
  type={NBER Working Papers},
  url={https://ideas.repec.org/p/nbr/nberwo/23276.html},
  number={23276},
  abstract={An ever increasing share of human interaction, communication, and culture is recorded as digital text. We provide an introduction to the use of text as an input to economic research. We discuss the features that make text different from other forms of data, offer a practical overview of relevant statistical methods, and survey a variety of applications.},
  keywords={},
  doi={},
}

@article{ghosh_qureshi_kim_zalduendo_2014,
title = "Surges",
journal = "Journal of International Economics",
volume = "92",
number = "2",
pages = "266 - 285",
year = "2014",
issn = "0022-1996",
doi = "https://doi.org/10.1016/j.jinteco.2013.12.007",
url = "http://www.sciencedirect.com/science/article/pii/S002219961300144X",
author = "Atish R. Ghosh and Mahvash S. Qureshi and Jun Il Kim and Juan Zalduendo",
keywords = "Surges, Capital flows, Emerging market economies",
abstract = "This paper examines when and why capital sometimes surges to emerging market economies (EMEs). Using data on net capital flows for 56 EMEs over 1980−2011, we find that global factors, including US interest rates and investor risk aversion act as “gatekeepers” that determine when surges of capital to EMEs will occur. Whether a particular EME receives a surge, and the magnitude of that surge, however, depends largely on domestic factors such as its external financing need, capital account openness, and exchange rate regime. Differentiating between surges driven by exceptional behavior of asset flows (repatriation of foreign assets by domestic residents) from those driven by exceptional behavior of liability flows (nonresident investments into the country), shows the latter to be relatively more sensitive to global factors and contagion."
}

@article{jorda_2005,
Author = {Jord{\`a}, {\`O}scar},
Title = {Estimation and Inference of Impulse Responses by Local Projections},
Journal = {American Economic Review},
Volume = {95},
Number = {1},
Year = {2005},
Month = {March},
Pages = {161-182},
DOI = {10.1257/0002828053828518},
URL = {http://www.aeaweb.org/articles?id=10.1257/0002828053828518}}

@ARTICLE{jorda_schularick_taylor_ward_2019,
title = {Global Financial Cycles and Risk Premiums},
author = {Jord{\`a}, {\`O}scar and Schularick, Moritz and Taylor, Alan and Ward, Felix},
year = {2019},
journal = {IMF Economic Review},
volume = {67},
number = {1},
pages = {109-150},
abstract = {Abstract This paper studies the synchronization of financial cycles across 17 advanced economies over the past 150 years. The comovement in credit, house prices, and equity prices has reached historical highs in the past three decades. While comovement of credit and house prices increased in line with growing real sector integration, comovement of equity prices has increased above and beyond growing real sector integration. The sharp increase in the comovement of global equity markets is particularly notable. We demonstrate that fluctuations in risk premiums, and not risk-free rates and dividends, account for a large part of the observed equity price synchronization after 1990. We also show that US monetary policy has come to play an important role as a source of fluctuations in risk appetite across global equity markets. These fluctuations are transmitted across both fixed and floating exchange rate regimes, but the effects are more muted in floating rate regimes.},
keywords = {Financial cycles; Asset prices; Equity return premium; Policy spillovers; Financial centers},
url = {https://EconPapers.repec.org/RePEc:pal:imfecr:v:67:y:2019:i:1:d:10.1057_s41308-019-00077-1}
}

@article{jotikasthira_lundblad_ramadorai_2012,
author = {Jotikasthira, Chotibhak and Lundblad, Christian and Ramadorai, Rarun},
title = {Asset Fire Sales and Purchases and the International Transmission of Funding Shocks},
journal = {The Journal of Finance},
volume = {67},
number = {6},
pages = {2015-2050},
doi = {10.1111/j.1540-6261.2012.01780.x},
url = {https://onlinelibrary.wiley.com/doi/abs/10.1111/j.1540-6261.2012.01780.x},
eprint = {https://onlinelibrary.wiley.com/doi/pdf/10.1111/j.1540-6261.2012.01780.x},
abstract = {ABSTRACT We identify a new channel for the transmission of shocks across international markets. Investor flows to funds domiciled in developed markets force significant changes in these funds' emerging market portfolio allocations. These forced trades or “fire sales” affect emerging market equity prices, correlations, and betas, and are related to but distinct from effects arising purely from fund holdings or from overlapping ownership of emerging markets in fund portfolios. A simple model and calibration exercise highlight the importance to these findings of “push” effects from funds' domicile countries and “co-ownership spillover” between markets with overlapping fund ownership.},
year = {2012}
}

@TechReport{williams_converse_levyYeyati_2018,
  author={Tomas Williams and Nathan Converse and Eduardo Levy-Yeyati},
  title={{How ETFs Amplify the Global Financial Cycle in Emerging Markets}},
  year=2018,
  month=Jan,
  institution={The George Washington University, Institute for International Economic Policy},
  type={Working Papers},
  url={https://ideas.repec.org/p/gwi/wpaper/2018-1.html},
  number={2018-1},
  abstract={Since the early 2000s exchange-traded funds (ETFs) have grown to become an important investment vehicle worldwide. In this paper, we study how their growth affects the sensitivity of international capital flows to the global financial cycle. We combine comprehensive fundlevel data on investor flows with a novel identification strategy that controls for unobservable time-varying economic conditions at the investment destination. For dedicated emerging market funds, we find that the sensitivity of investor flows to global risk factors for equity (bond) ETFs is 1.5 (1.25) times higher than for equity (bond) mutual funds. In turn, we show that in countries where ETFs hold a larger share of financial assets, total cross-border equity flows and prices are significantly more sensitive to global risk factors. We conclude that the growing role of ETFs as a channel for international capital flows amplifies the incidence of the global financial cycle in emerging markets.},
  keywords={exchange-traded funds; mutual funds; global financial cycle; global risk; push and pull factors; cap},
  doi={},
}

@article{loughran_mcdonald_2011,
 ISSN = {00221082, 15406261},
 URL = {http://www.jstor.org/stable/29789771},
 abstract = {Previous research uses negative word counts to measure the tone of a text. We show that word lists developed for other disciplines misclassify common words in financial text. In a large sample of 10-Ks during 1994 to 2008, almost three-fourths of the words indentified as negative by the widely used Harvard Dictionary are words typically not considered negative in financial contexts. We develop an alternative negative word list, along with five other word lists, that better reflect tone in financial text. We link the word lists to 10-K filing returns, trading volume, return volatility, fraud, material weakness, and unexpected earnings.},
 author = {Tim Loughran and Bill Mcdonald},
 journal = {The Journal of Finance},
 number = {1},
 pages = {35--65},
 publisher = {[American Finance Association, Wiley]},
 title = {When Is a Liability Not a Liability? Textual Analysis, Dictionaries, and 10-Ks},
 volume = {66},
 year = {2011}
}

@article{manela_moreira_2017,
title = "News implied volatility and disaster concerns",
journal = "Journal of Financial Economics",
volume = "123",
number = "1",
pages = "137 - 162",
year = "2017",
issn = "0304-405X",
doi = "https://doi.org/10.1016/j.jfineco.2016.01.032",
url = "http://www.sciencedirect.com/science/article/pii/S0304405X16301751",
author = "Asaf Manela and Alan Moreira",
keywords = "Text-based analysis, Implied volatility, Rare disasters, Equity premium, Return predictability, Machine learning",
abstract = "We construct a text-based measure of uncertainty starting in 1890 using front-page articles of the Wall Street Journal. News implied volatility (NVIX) peaks during stock market crashes, times of policy-related uncertainty, world wars, and financial crises. In US postwar data, periods when NVIX is high are followed by periods of above average stock returns, even after controlling for contemporaneous and forward-looking measures of stock market volatility. News coverage related to wars and government policy explains most of the time variation in risk premia our measure identifies. Over the longer 1890–2009 sample that includes the Great Depression and two world wars, high NVIX predicts high future returns in normal times and rises just before transitions into economic disasters. The evidence is consistent with recent theories emphasizing time variation in rare disaster risk as a source of aggregate asset prices fluctuations."
}

@TechReport{obstfeld_2015,
  author={Maurice Obstfeld},
  title={{Trilemmas and trade-offs: living with financial globalisation}},
  year=2015,
  month=Jan,
  institution={Bank for International Settlements},
  type={BIS Working Papers},
  url={https://ideas.repec.org/p/bis/biswps/480.html},
  number={480},
  abstract={This paper evaluates the capacity of emerging market economies (EMEs) to moderate the domestic impact of global financial and monetary forces through their own monetary policies. Those EMEs that are able to exploit a flexible exchange rate are far better positioned than those that devote monetary policy to fixing the rate - a reflection of the classical monetary policy trilemma. However, exchange rate changes alone do not insulate economies from foreign financial and monetary shocks. While potentially a potent source of economic benefits, financial globalisation does have a downside for economic management. It worsens the trade-offs monetary policy faces in navigating among multiple domestic objectives. This drawback of globalisation raises the marginal value of additional tools of macroeconomic and financial policy. Unfortunately, the availability of such tools is constrained by a financial policy trilemma that is distinct from the monetary trilemma. This second trilemma posits the incompatibility of national responsibility for financial policy, international financial integration and financial stability.},
  keywords={policy trilemma; financial stability; financial globalisation; international policy transmission},
  doi={},
}

@article{puy_2016,
title = "Mutual funds flows and the geography of contagion",
journal = "Journal of International Money and Finance",
volume = "60",
pages = "73 - 93",
year = "2016",
issn = "0261-5606",
doi = "https://doi.org/10.1016/j.jimonfin.2015.06.014",
url = "http://www.sciencedirect.com/science/article/pii/S0261560615001151",
author = "Damien Puy",
keywords = "Mutual funds, Contagion, Emerging markets, Push-and-pull factors",
abstract = "This paper studies the dynamics and geography of investments made by international mutual funds located in advanced markets. I identify precise global and regional dynamics in equity and bond flows. Very few countries receive (or lose) funding in isolation. I also find strong evidence of global contagion: when financial conditions in developed markets change, emerging markets' funding is heavily affected. I illustrate this finding by deriving contagion maps showing where contagion spreads and with what intensity. In general, the results suggest that push effects from advanced market investors affect massively developing countries and expose them to sudden stops and surges."
}

@article{raddatz_schmukler_2012,
title = "On the international transmission of shocks: Micro-evidence from mutual fund portfolios",
journal = "Journal of International Economics",
volume = "88",
number = "2",
pages = "357 - 374",
year = "2012",
note = "NBER Global",
issn = "0022-1996",
doi = "https://doi.org/10.1016/j.jinteco.2012.05.006",
url = "http://www.sciencedirect.com/science/article/pii/S0022199612000967",
author = "Claudio Raddatz and Sergio L. Schmukler",
keywords = "Contagion, Crises, Global financial crisis, International capital flows, Mutual fund investors, Mutual fund managers",
abstract = "Using micro-level data on mutual funds from different financial centers investing in equity and bonds, this paper analyzes how investors and managers behave and transmit shocks across countries. The paper shows that the volatility of mutual fund investments is quantitatively driven by both the underlying investors and fund managers through (i) injections into/redemptions out of each fund and (ii) managerial changes in country weights and cash. Both investors and managers respond to country returns and crises and adjust their investments substantially, e.g., generating large reallocations during the global financial crisis. Their behavior tends to be pro-cyclical, reducing their exposure to countries during bad times and increasing it when conditions improve. Managers actively change country weights over time, although there is significant short-run pass-through from returns to country weights. Capital flows from mutual funds do not seem to have a stabilizing role and expose countries in their portfolios to foreign shocks."
}

@article{ravn_uhlig_2002,
author = {Ravn, Morten O. and Uhlig, Harald},
title = {On Adjusting the Hodrick-Prescott Filter for the Frequency of Observations},
journal = {The Review of Economics and Statistics},
volume = {84},
number = {2},
pages = {371-376},
year = {2002},
doi = {10.1162/003465302317411604},
URL = {https://doi.org/10.1162/003465302317411604},
eprint = {https://doi.org/10.1162/003465302317411604},
abstract = { This paper studies how the Hodrick-Prescott filter should be adjusted when changing the frequency of observations. It complements the results of Baxter and King (1999) with an analytical analysis, demonstrating that the filter parameter should be adjusted by multiplying it with the fourth power of the observation frequency ratios. This yields an HP parameter value of 6.25 for annual data given a value of 1600 for quarterly data. The relevance of the suggestion is illustrated empirically.}
}

@TechReport{rey_2015,
  author={Hélène Rey},
  title={{Dilemma not Trilemma: The Global Financial Cycle and Monetary Policy Independence}},
  year=2015,
  month=May,
  institution={National Bureau of Economic Research},
  type={NBER Working Papers},
  url={https://ideas.repec.org/p/nbr/nberwo/21162.html},
  number={21162},
  abstract={There is a global financial cycle in capital flows, asset prices and in credit growth. This cycle co‐moves with the VIX, a measure of uncertainty and risk aversion of the markets. Asset markets in countries with more credit inflows are more sensitive to the global cycle. The global financial cycle is not aligned with countries’ specific macroeconomic conditions. Symptoms can go from benign to large asset price bubbles and excess credit creation, which are among the best predictors of financial crises. A VAR analysis suggests that one of the determinants of the global financial cycle is monetary policy in the centre country, which affects leverage of global banks, capital flows and credit growth in the international financial system. Whenever capital is freely mobile, the global financial cycle constrains national monetary policies regardless of the exchange rate regime. For the past few decades, international macroeconomics has postulated the “trilemma”: with free capital mobility, independent monetary policies are feasible if and only if exchange rates are floating. The global financial cycle transforms the trilemma into a “dilemma” or an “irreconcilable duo”: independent monetary policies are possible if and only if the capital account is managed. So should policy restrict capital mobility? Gains to international capital flows have proved elusive whether in calibrated models or in the data. Large gross flows disrupt asset markets and financial intermediation, so the costs may be very large. To deal with the global financial cycle and the “dilemma”, we have the following policy options: ( a) targeted capital controls; (b) acting on one of the sources of the financial cycle itself, the monetary policy of the Fed and other main central banks; (c) acting on the transmission channel cyclically by limiting credit growth and leverage during the upturn of the cycle, using national macroprudential policies; (d) acting on the transmission channel structurally by imposing st},
  keywords={},
  doi={},
}

@book{shiller_2015,
 ISBN = {9780691173122},
 URL = {http://www.jstor.org/stable/j.ctt1287kz5},
 abstract = { In this revised, updated, and expanded edition of his New York Times bestseller, Nobel Prize-winning economist Robert Shiller, who warned of both the tech and housing bubbles, cautions that signs of irrational exuberance among investors have only increased since the 2008-9 financial crisis. With high stock and bond prices and the rising cost of housing, the post-subprime boom may well turn out to be another illustration of Shiller's influential argument that psychologically driven volatility is an inherent characteristic of all asset markets. In other words, Irrational Exuberance is as relevant as ever. Previous editions covered the stock and housing markets-and famously predicted their crashes. This edition expands its coverage to include the bond market, so that the book now addresses all of the major investment markets. It also includes updated data throughout, as well as Shiller's 2013 Nobel Prize lecture, which places the book in broader context. In addition to diagnosing the causes of asset bubbles, Irrational Exuberance recommends urgent policy changes to lessen their likelihood and severity-and suggests ways that individuals can decrease their risk before the next bubble bursts. No one whose future depends on a retirement account, a house, or other investments can afford not to read this book.},
 author = {Robert J. Shiller},
 edition = {REV - Revised, 3},
 publisher = {Princeton University Press},
 title = {Irrational Exuberance: Revised and Expanded Third Edition},
 year = {2015}
}

@inbook{stock_watson_2011,
	title = {Dynamic Factor Models},
	booktitle = {Oxford Handbook on Economic Forecasting},
	publisher = {Oxford University Press},
	organization = {Oxford University Press},
	address = {Oxford},
	author = {Stock, James and Watson, Mark},
	year = {2011}
}

@incollection{STOCK2016415,
title = {Chapter 8 - Dynamic Factor Models, Factor-Augmented Vector Autoregressions, and Structural Vector Autoregressions in Macroeconomics},
editor = {John B. Taylor and Harald Uhlig},
booktitle = {Handbook of Macroeconomics},
publisher = {Elsevier},
volume = {2},
pages = {415-525},
year = {2016},
issn = {1574-0048},
doi = {https://doi.org/10.1016/bs.hesmac.2016.04.002},
url = {https://www.sciencedirect.com/science/article/pii/S1574004816300027},
author = {J.H. Stock and M.W. Watson},
keywords = {State-space models, Structural vector autoregressions, Factor-augmented vector autoregressions, Principal components, Large-model forecasting, Nowcasting, Structural shocks, C32, C38, C55, E17, E37, E47},
abstract = {This chapter provides an overview of and user's guide to dynamic factor models (DFMs), their estimation, and their uses in empirical macroeconomics. It also surveys recent developments in methods for identifying and estimating SVARs, an area that has seen important developments over the past 15 years. The chapter begins by introducing DFMs and the associated statistical tools, both parametric (state-space forms) and nonparametric (principal components and related methods). After reviewing two mature applications of DFMs, forecasting and macroeconomic monitoring, the chapter lays out the use of DFMs for analysis of structural shocks, a special case of which is factor-augmented vector autoregressions (FAVARs). A main focus of the chapter is how to extend methods for identifying shocks in structural vector autoregression (SVAR) to structural DFMs. The chapter provides a unification of SVARs, FAVARs, and structural DFMs and shows both in theory and through an empirical application to oil shocks how the same identification strategies can be applied to each type of model.}
}

@article{tetlock_2007,
author = {Tetlock, Paul C.},
title = {Giving Content to Investor Sentiment: The Role of Media in the Stock Market},
journal = {The Journal of Finance},
volume = {62},
number = {3},
pages = {1139-1168},
doi = {10.1111/j.1540-6261.2007.01232.x},
url = {https://onlinelibrary.wiley.com/doi/abs/10.1111/j.1540-6261.2007.01232.x},
eprint = {https://onlinelibrary.wiley.com/doi/pdf/10.1111/j.1540-6261.2007.01232.x},
abstract = {ABSTRACT I quantitatively measure the interactions between the media and the stock market using daily content from a popular Wall Street Journal column. I find that high media pessimism predicts downward pressure on market prices followed by a reversion to fundamentals, and unusually high or low pessimism predicts high market trading volume. These and similar results are consistent with theoretical models of noise and liquidity traders, and are inconsistent with theories of media content as a proxy for new information about fundamental asset values, as a proxy for market volatility, or as a sideshow with no relationship to asset markets.},
year = {2007}
}

@article{teulings_zubanov_2014,
author = {Teulings, Coen N. and Zubanov, Nikolay},
title = {Is Economic Recovery a Myth? Robust Estimation of Impulse Responses},
journal = {Journal of Applied Econometrics},
volume = {29},
number = {3},
pages = {497-514},
doi = {10.1002/jae.2333},
url = {https://onlinelibrary.wiley.com/doi/abs/10.1002/jae.2333},
eprint = {https://onlinelibrary.wiley.com/doi/pdf/10.1002/jae.2333},
abstract = {SUMMARY We estimate the impulse response function (IRF) of GDP to a banking crisis using an extension of the local projections method. We demonstrate that, though robust to misspecifications of the data-generating process, this method suffers from a hitherto unnoticed bias which increases with the forecast horizon. We propose a correction to this bias and show through simulations that it works well. Applying our corrected local projections estimator to the data from a panel of 99 countries observed between 1974 and 2001, we find that an average banking crisis yields a GDP loss of just under 10\% in 10 years, with little sign of recovery. Like the original local projections method, our extension of it is widely applicable. Copyright © 2013 John Wiley \& Sons, Ltd.},
year = {2014}
}

@article{young_soroka_2012,
author = {Lori Young and Stuart Soroka},
title = {Affective News: The Automated Coding of Sentiment in Political Texts},
journal = {Political Communication},
volume = {29},
number = {2},
pages = {205-231},
year  = {2012},
publisher = {Routledge},
doi = {10.1080/10584609.2012.671234},
URL = {https://doi.org/10.1080/10584609.2012.671234},
eprint = {https://doi.org/10.1080/10584609.2012.671234},
abstract = { An increasing number of studies in political communication focus on the “sentiment” or “tone” of news content, political speeches, or advertisements. This growing interest in measuring sentiment coincides with a dramatic increase in the volume of digitized information. Computer automation has a great deal of potential in this new media environment. The objective here is to outline and validate a new automated measurement instrument for sentiment analysis in political texts. Our instrument uses a dictionary-based approach consisting of a simple word count of the frequency of keywords in a text from a predefined dictionary. The design of the freely available Lexicoder Sentiment Dictionary (LSD) is discussed in detail here. The dictionary is tested against a body of human-coded news content, and the resulting codes are also compared to results from nine existing content-analytic dictionaries. Analyses suggest that the LSD produces results that are more systematically related to human coding than are results based on the other available dictionaries. The LSD is thus a useful starting point for a revived discussion about dictionary construction and validation in sentiment analysis for political communication.}
}

@TechReport{albuquerque_bauer_schneider_2005,
  author={Albuquerque, Rui and Bauer, Gregory and Schneider, Martin},
  title={{International Equity Flows and Returns: A Quantitative Equilibrium Approach}},
  year=2005,
  month=Aug,
  institution={C.E.P.R. Discussion Papers},
  type={CEPR Discussion Papers},
  url={https://ideas.repec.org/p/cpr/ceprdp/5159.html},
  number={5159},
  abstract={This paper reconsiders the role of foreign investors in developed country equity markets. It presents a quantitative model of trading that is built around two new assumptions about investor sophistication: (i) both the foreign and domestic populations contain investors with superior information sets; and (ii) these knowledgeable investors have access to both public equity markets and private investment opportunities. The model delivers a unified explanation for three stylized facts about US investors’ international equity trades: (i) trading by US investors occurs in waves of simultaneous buying and selling; (ii) US investors build and unwind foreign equity positions gradually; and (iii) US investors increase their market share in a country when stock prices there have recently been rising. The results suggest that heterogeneity within the foreign investor population is much more important than heterogeneity of investors across countries.},
  keywords={asset pricing; asymmetric information; heterogenous investors; international equity flows; internati},
  doi={},
}

@article{forbes_warnock_2012,
title = "Capital flow waves: Surges, stops, flight, and retrenchment",
journal = "Journal of International Economics",
volume = "88",
number = "2",
pages = "235 - 251",
year = "2012",
note = "NBER Global",
issn = "0022-1996",
doi = "https://doi.org/10.1016/j.jinteco.2012.03.006",
url = "http://www.sciencedirect.com/science/article/pii/S0022199612000566",
author = "Kristin J. Forbes and Francis E. Warnock",
keywords = "Capital flows, Sudden stops, Bonanzas, Surges, Risk, Capital controls, Pull versus push",
abstract = "This paper analyzes waves in international capital flows. We develop a new methodology for identifying episodes of extreme capital flow movements using data that differentiates activity by foreigners and domestics. We identify episodes of “surges” and “stops” (sharp increases and decreases, respectively, of gross inflows) and “flight” and “retrenchment” (sharp increases and decreases, respectively, of gross outflows). Our approach yields fundamentally different results than the previous literature that used measures of net flows. Global factors, especially global risk, are significantly associated with extreme capital flow episodes. Contagion, whether through trade, banking, or geography, is also associated with stop and retrenchment episodes. Domestic macroeconomic characteristics are generally less important, and we find little association between capital controls and the probability of having surges or stops driven by foreign capital flows. The results provide insights for different theoretical approaches explaining crises and capital flow volatility."
}

@TechReport{miao_pant_2012,
  author={Malika Pant and Yanliang Miao},
  title={{Coincident Indicators of Capital Flows}},
  year=2012,
  month=Feb,
  institution={International Monetary Fund},
  type={IMF Working Papers},
  url={https://ideas.repec.org/p/imf/imfwpa/12-55.html},
  number={12/55},
  abstract={Capital flows data from Balance of Payments statistics often lag 3-6 months, which renders timely surveillance and policy deliberation difficult. To address the tension, we propose two coincident composite indicators for capital flows that improve upon existing proxies. We find that the most widely used proxy, the capital tracker, often overpredicts net flows by 30 percent. We augment the tracker into a composite indicator by assigning to it a lesser but optimally estimated weight while incorporating other regional and global coincident correlates of capital flows. The proposed composite indicator of net flows outperforms the capital tracker in its original format. To complement the indicator with an even timelier variant, we also utilize the EPFR high frequency coverage of gross bond and equity flows as an indicator on foreign investors' sentiment.},
  keywords={Economic indicators; Balance of payments statistics; Capital flows; Coincident Indicators; Capital T},
  doi={},
}


@article{kilian_kim_2011,
    author = {Kilian, Lutz and Kim, Yun Jung},
    title = "{How Reliable Are Local Projection Estimators of Impulse Responses?}",
    journal = {The Review of Economics and Statistics},
    volume = {93},
    number = {4},
    pages = {1460-1466},
    year = {2011},
    month = {11},
    abstract = "{We compare the finite-sample performance of impulse response confidence intervals based on local projections (LPs) and vector autoregressive (VAR) models in linear stationary settings. We find that in small samples, the asymptotic LP interval often is less accurate than the bias-adjusted bootstrap VAR interval, notwithstanding its excessive average length. Although the asymptotic LP interval has adequate coverage in sufficiently large samples, its average length still far exceeds that of bias-adjusted bootstrap VAR intervals with comparable accuracy. Bootstrap LP intervals (with or without bias correction) and asymptotic VAR intervals are shorter on average, but they often lack coverage accuracy in finite samples.}",
    issn = {0034-6535},
    doi = {10.1162/REST_a_00143},
    url = {https://doi.org/10.1162/REST\_a\_00143},
    eprint = {https://direct.mit.edu/rest/article-pdf/93/4/1460/1919194/rest\_a\_00143.pdf},
}

@article{driscoll_kraay_1998,
 ISSN = {00346535, 15309142},
 URL = {http://www.jstor.org/stable/2646837},
 abstract = {Many panel data sets encountered in macroeconomics, international economics, regional science, and finance are characterized by cross-sectional or "spatial" dependence. Standard techniques that fail to account for this dependence will result in inconsistently estimated standard errors. In this paper we present conditions under which a simple extension of common nonparametric covariance matrix estimation techniques yields standard error estimates that are robust to very general forms of spatial and temporal dependence as the time dimension becomes large. We illustrate the relevance of this approach using Monte Carlo simulations and a number of empirical examples.},
 author = {John C. Driscoll and Aart C. Kraay},
 journal = {The Review of Economics and Statistics},
 number = {4},
 pages = {549--560},
 publisher = {The MIT Press},
 title = {Consistent Covariance Matrix Estimation with Spatially Dependent Panel Data},
 volume = {80},
 year = {1998}
}

@article{shleifer_vishny_1997,
author = {Shleifer, Andrei and Vishny, Robert W.},
title = {The Limits of Arbitrage},
journal = {The Journal of Finance},
volume = {52},
number = {1},
pages = {35-55},
doi = {10.1111/j.1540-6261.1997.tb03807.x},
url = {https://onlinelibrary.wiley.com/doi/abs/10.1111/j.1540-6261.1997.tb03807.x},
eprint = {https://onlinelibrary.wiley.com/doi/pdf/10.1111/j.1540-6261.1997.tb03807.x},
abstract = {ABSTRACT Textbook arbitrage in financial markets requires no capital and entails no risk. In reality, almost all arbitrage requires capital, and is typically risky. Moreover, professional arbitrage is conducted by a relatively small number of highly specialized investors using other people's capital. Such professional arbitrage has a number of interesting implications for security pricing, including the possibility that arbitrage becomes ineffective in extreme circumstances, when prices diverge far from fundamental values. The model also suggests where anomalies in financial markets are likely to appear, and why arbitrage fails to eliminate them.},
year = {1997}
}

@book{veldkamp_2012,
 ISBN = {9780691142203},
 URL = {http://www.jstor.org/stable/j.ctvcm4j91},
 abstract = { Most theories in economics and finance predict what people will do, given what they know about the world around them. But what do people know about their environments? The study of information choice seeks to answer this question, explaining why economic players know what they know--and how the information they have affects collective outcomes. Instead of assuming what people do or don't know, information choice asks what people would choose to know. Then it predicts what, given that information, they would choose to do. In this textbook, Laura Veldkamp introduces graduate students in economics and finance to this important new research.  The book illustrates how information choice is used to answer questions in monetary economics, portfolio choice theory, business cycle theory, international finance, asset pricing, and other areas. It shows how to build and test applied theory models with information frictions. And it covers recent work on topics such as rational inattention, information markets, and strategic games with heterogeneous information.    Illustrates how information choice is used to answer questions in monetary economics, portfolio choice theory, business cycle theory, international finance, asset pricing, and other areas  Teaches how to build and test applied theory models with information frictions  Covers recent research on topics such as rational inattention, information markets, and strategic games with heterogeneous information   },
 author = {Laura L. Veldkamp},
 publisher = {Princeton University Press},
 title = {Information Choice in Macroeconomics and Finance},
 year = {2011}
}

@book{manning_2010,
author = {Manning, Christopher D. and Raghavan, Prabhakar and Sch\"{u}tze, Hinrich},
title = {Introduction to Information Retrieval},
year = {2008},
isbn = {0521865719},
publisher = {Cambridge University Press},
address = {USA}
}

